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Pesaran, M. Hashem; Chudik, Alexander - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10009010169

To pool or not to pool : revisited

Pesaran, M. Hashem; Zhou, Qiankun - 2015

coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed … effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically …

Persistent link: https://www.econbiz.de/10011283819

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...

Persistent link: https://www.econbiz.de/10002734112

Revisiting the great ratios hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …

Persistent link: https://www.econbiz.de/10013041372

Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices

Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models …

Persistent link: https://www.econbiz.de/10011983664

Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

Persistent link: https://www.econbiz.de/10011898624

The role of pricing errors in linear asset pricing models with strong, semi-strong, and latent factors

Pesaran, M. Hashem; Smith, Ron - 2023

This paper examines the role of pricing errors in linear factor pricing models, allowing for observed strong and semi-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the estimation of risk premia but also in...

Persistent link: https://www.econbiz.de/10013549135